Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 9 | 6 | 6 |
| Score | -2.21 | -3.45 | -4.17 |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.23 | 0.23 | 0.24 |
| Idiosyncratic Volatility | 0.81 | 0.8 | 1.28 |
Annualized return and volatility
| VTIAX | |
|---|---|
| Annualized Return | 0.0487 |
| Annualized Std Dev | 0.1498 |
| Annualized Sharpe (Rf=0%) | 0.3253 |
Row
Daily Return Statistics
| VTIAX | |
|---|---|
| Observations | 2322.0000 |
| NAs | 2792.0000 |
| Minimum | -0.0709 |
| Quartile 1 | -0.0040 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0052 |
| Maximum | 0.0493 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0094 |
| Skewness | -0.5799 |
| Kurtosis | 5.5265 |
Downside Risk
| VTIAX | |
|---|---|
| Semi Deviation | 0.0070 |
| Gain Deviation | 0.0061 |
| Loss Deviation | 0.0075 |
| Downside Deviation (MAR=210%) | 0.0120 |
| Downside Deviation (Rf=0%) | 0.0069 |
| Downside Deviation (0%) | 0.0069 |
| Maximum Drawdown | 0.2660 |
| Historical VaR (95%) | -0.0157 |
| Historical ES (95%) | -0.0233 |
| Modified VaR (95%) | -0.0157 |
| Modified ES (95%) | -0.0305 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-05-02 | 2011-10-03 | 2013-05-03 | -0.2660 | 512 | 109 | 403 |
| 2015-05-18 | 2016-02-11 | 2017-05-02 | -0.2438 | 501 | 190 | 311 |
| 2018-01-29 | 2018-12-24 | NA | -0.2278 | 490 | 233 | NA |
| 2014-07-07 | 2014-12-15 | 2015-04-28 | -0.1331 | 210 | 116 | 94 |
| 2013-05-22 | 2013-06-24 | 2013-09-11 | -0.1102 | 80 | 24 | 56 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | VTIAX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2009 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2010 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 | 0 | 2.9 |
| 2011 | 2.1 | -0.8 | 1.1 | 0.0 | -1.7 | 1.1 | -0.6 | -0.4 | 0.0 | -3.1 | -0.3 | 0 | -2.7 |
| 2012 | 1.6 | 0.8 | 0.0 | 0.3 | -2.2 | 0.0 | -0.1 | 0.0 | 0.6 | 1.0 | 0.0 | 0 | 2.0 |
| 2013 | 0.7 | 0.0 | -0.9 | -0.6 | 0.0 | 0.9 | 0.9 | 0.0 | 0.6 | -0.5 | 0.0 | 0 | 1.2 |
| 2014 | 0.0 | 0.0 | 0.6 | 0.1 | 0.0 | 0.7 | -0.5 | 0.0 | -1.1 | 0.0 | -0.5 | 0 | -0.6 |
| 2015 | 0.0 | 0.0 | 0.6 | 0.4 | -0.2 | 0.4 | 0.0 | -3.0 | 0.3 | 0.0 | 1.2 | 0 | -0.4 |
| 2016 | -0.2 | 2.5 | -1.0 | 0.0 | 0.0 | 0.3 | -0.4 | 0.4 | 0.0 | -0.3 | -0.2 | 0 | 1.1 |
| 2017 | 0.4 | 0.9 | 0.0 | 0.2 | 0.6 | 0.0 | 0.5 | 0.2 | 0.0 | 0.3 | -0.4 | 0 | 2.7 |
| 2018 | 0.1 | -0.9 | 0.0 | -0.3 | 0.8 | 0.0 | -0.3 | 0.0 | 0.1 | 1.5 | 0.0 | 0 | 1.0 |
| 2019 | -0.2 | 0.4 | 1.2 | -0.5 | 0.0 | 0.5 | -0.4 | 0.0 | -0.8 | 0.9 | 0.0 | 0 | 1.1 |
Row
Rolling Performance Chart
Snail Trail Chart
